Pricing of American catastrophe disaster insurance futures options with martingale method

zbMATH Open1449.91170MaRDI QIDQ5115346FDOQ5115346

Authors: Yuexu Zhao, Jie Liu 

Publication date: 12 August 2020

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zbMATH Keywords

martingale methodactuarial methodfutures and optionsinsurance futures

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Cited In (1)

• Pricing of Catastrophe Insurance Options Under Immediate Loss Reestimation

Uses Software

• R

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